The windmill creates a challenge for several reasons: it is both politically and physically hard to build. First, the animals are divided on whether or not it makes sense to pursue the project, with Napoleon leading a faction that says that it would make more sense to concentrate on increasing food production. The animals also know it will be physically difficult to assemble the windmill because they will have to construct stone walls and make sails for it and come up with cables and dynamos. The stone walls especially are labor-intensive. So initially, the animals can't decide whether to proceed.
Second, once they decide to go ahead with the task, the animals can't use human tools to break the limestone they have from the quarry into suitably sized rocks, so they have to haul the limestone boulders to the top of the quarry, push them over the edge to shatter below and gather all the pieces and drag them up to the top of the quarry in carts, then pull the carts to the site of the windmill.
Third, a violent storm destroys much of the windmill, so that they have to start over. This time, they decide to make the walls twice as thick, which makes the task even harder. Then Frederick and his men blow up the second newly completed windmill. This time, Boxer, who has been the worker driving the windmill, is eleven, and it is harder for him to work as hard as he did before. Also, the animals are short of money to buy the supplies they need to rebuild and have to do with less to eat (all but the pigs) so they can purchase what is needed to get the windmill going again.